Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Year of publication: |
2023
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Authors: | Storti, Giuseppe ; Wang, Chao |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 7, p. 1648-1663
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Subject: | expected shortfall | forecast combination | joint loss | value-at-risk | weighted quantile | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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